In 2004 Luxembourg issued a €25 collector coin dedicated to the 25th anniversary of the first direct EP elections. Now whether the piece actually depicts any part of any existing building, I don't know. The other side shows Grand Duke Henri as usual.

The Monnaie de Paris commemorated the 50th anniversary of the European Parliament in 2008. The coin (various denominations and compositions) shows the EP building in Strasbourg and, below, a half circle symbolizing the parliament.